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gmm (version 1.4-1)

Generalized Method of Moments and Generalized Empirical Likelihood

Description

It is a complete suite to estimate models based on moment conditions. It includes the two step Generalized method of moments (GMM) of Hansen(1982), the iterated GMM and continuous updated estimator (CUE) of Hansen-Eaton-Yaron(1996) and several methods that belong to the Generalized Empirical Likelihood (GEL) family of estimators, as presented by Smith(1997), Kitamura(1997), Newey-Smith(2004) and Anatolyev(2005).

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Version

Install

install.packages('gmm')

Monthly Downloads

13,820

Version

1.4-1

License

GPL (>= 2)

Maintainer

Pierre Chausse

Last Published

May 30th, 2012

Functions in gmm (1.4-1)

Finance

Returns on selected stocks
confint

Confidence intervals for GMM or GEL
estfun

Extracts the empirical moment function
gel

Generalized Empirical Likelihood estimation
getModel

Method for setting the properties of a model
getLamb

Solving for the Lagrange multipliers of Generalized Empirical Likelihood (GEL)
fitted

Fitted values of GEL and GMM
plot

Plot Diagnostics for gel and gmm objects
getDat

Extracting data from a formula
charStable

The characteristic function of a stable distribution
bread

Bread for sandwiches
gmm

Generalized method of moment estimation
summary

Method for object of class gmm or gel
print

Printing a gmm or gel object
vcov

Variance-covariance matrix of GMM or GEL
smoothG

Kernel smoothing of a matrix of time series
formula

Formula method for gel and gmm objects
residuals

Residuals of GEL or GMM
FinRes

Method to finalize the result of the momentEstim method
momentEstim

Method for estimating models based on moment conditions
specTest

Compute tests of specification
coef

Coefficients of GEL or GMM
KTest

Compute the K statistics of Kleibergen
tsls

Two stage least squares estimation